Since I got my first Sonos device, I wanted to be able to play music from my Plex server. Unfortunately, due to the way Sonos issues the network requests, it didn't work properly. I use pfSense for my router and tried a number of workarounds but the one that finally worked was this one:
In the pfSense Plex NAT firewall rule (pfSense->Firewall->NAT->Port Forward->Edit) change the NAT reflection setting to "Enable (NAT + Proxy).